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Mutual intersection for rough differential systems driven by fractional Brownian motions

Author

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  • Ouyang, Cheng
  • Shi, Yinghui
  • Wu, Dongsheng

Abstract

Let XH and XK be solutions to two stochastic differential equations driven by independent fractional Brownian motions with Hurst parameters H and K, respectively. We study when XH and XK intersect with each other over a finite time interval. We also derive Hausdorff and packing dimension results for the set of intersection times of XH and XK.

Suggested Citation

  • Ouyang, Cheng & Shi, Yinghui & Wu, Dongsheng, 2018. "Mutual intersection for rough differential systems driven by fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 83-91.
    • Handle: RePEc:eee:stapro:v:135:y:2018:i:c:p:83-91
    DOI: 10.1016/j.spl.2017.11.012
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    References listed on IDEAS

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    1. Lou, Shuwen & Ouyang, Cheng, 2016. "Fractal dimensions of rough differential equations driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2410-2429.
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